Simon-
Under "Manage Profile Properties", un-check the "Required" for "FirstName" and "LastName".  These "Profile" name fields are separate fields from the "Credential" fields "First Name" and "Last Name" that show up under "Manage User Credentials".  The "Credential" fields comprise the core required user info fields (so you're already getting FirstName and LastName by default -- DNN won't create an account without them). 

WARNING:  What You Need To Know About Profile Fields "First Name" and "Last Name"
During account registration, when a new user creates his/her account the values from "First Name" and "Last Name" fields are automatically copied from "Credentials" name fields to the separate-but-identically-named Profile fields "FirstName" and "LastName".  In older versions of DNN this could cause great confusion since users were allowed to go into their User Profile and change their name in one spot but not the other.  Fortunately, newer versions of DNN (at least since 4.6.2) auto-update the related field when a user changes it either under "Credentials" or under "Profile".

-mamlin